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Optimization of trading physics models of markets

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2 Author(s)
Ingber, Lester ; Lester Ingber Res., Chicago, IL, USA ; Mondescu, R.P.

We describe an end-to-end real-time S&P futures trading system. Inner-shell stochastic nonlinear dynamic models are developed, and canonical momenta indicators are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adaptive optimization using adaptive simulated annealing is used for fitting parameters shared across these shells of dynamics and trading models

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Neural Networks, IEEE Transactions on  (Volume:12 ,  Issue: 4 )